互联网金融背景下影子银行、实体经济和货币政策时变性  

The Time-Varying of Shadow Banking,Real Economy and Monetary Policy in the Background of Internet Finance

作　　者：董亚娟 钱文沁 Dong Yajuan;Qian Wenqin(School of Statistics,Zheijiang Gongshang University)

机构地区：[1]浙江工商大学

出　　处：《调研世界》2022年第3期30-41,共12页The World of Survey and Research

基　　金：浙江省哲学社会科学规划基金项目“疫情冲击的多维经济效应及后疫情时代货币政策调控的模拟与仿真”(22NDJC094YB);浙江省重点建设高校优势特色学科(浙江工商大学统计学)的资助。

摘　　要：动态判断影子银行对实体经济的影响有利于规范影子银行发展,有效防控金融性风险。本文通过构建TVP-VAR-SV模型,从货币政策的三类中介目标(广义货币量、信贷规模和利率)实时捕捉影子银行在货币政策“中介目标→最终目标”两步传导中的时变特征,对比了不同货币传导渠道下影子银行对实体经济的影响。研究表明:(1)影子银行与三个货币政策中介目标有很强的同期相关性,对实体经济和通胀的波动影响滞后大约2期左右;(2)影子银行规模的扩张对货币供应量增长有正向促进作用,降低了广义货币供应量的可测性和可控性,从而严重影响我国货币政策的实施效果;(3)影子银行的发展对货币政策的中介目标和最终目标具有时变影响,这种双传导效应一方面抑制了信贷规模的扩张,有助于推动利率市场化;另一方面在一定程度上会促进经济增长,增加通胀的预期。The development of shadow banking has provided a wider range of financing channels for China’s economic development.The study of its influence on the real economy is conducive to the development of shadow banking,effectively preventing and controlling financial risks.By building a TVP-VAR-SV model,this paper captures the time-varying characteristics of shadow banking in the two-step transmission of"intermediate target→final target"of monetary policy from three intermediate targets of monetary policy(M2,credit scale,and interest rate),and compares the influence of shadow banking on the real economy in different monetary transmission channels.The result shows that:(1)shadow banking has a strong synchronic correlation with the three intermediate targets,and the impact on the fluctuation of the real economy and inflation lags about two periods;(2)The changes of shadow banking scale have time-varying characteristics on the real economy and monetary policy.The expansion of shadow banking scale has a positive effect on the growth of money supply,and it reduces the measurability and controllability of money supply,which seriously affects the implementation effect of China’s monetary policy;(3)The development of shadow banking has a time-varying impact on the intermediate and final targets of monetary policy.This dual transmission effect restrains the expansion of credit scale and helps to promote interest rate liberalization.It also promotes economic growth and increases inflation expectations to a certain extent.

关 键 词：货币政策 影子银行 时变参数模型 

分 类 号：F832.3[经济管理—金融学]